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https://hdl.handle.net/20.500.14279/9608
Τίτλος: | Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies | Συγγραφείς: | Theodossiou, Alexandra K. Theodossiou, Panayiotis |
metadata.dc.contributor.other: | Θεοδοσίου, Παναγιώτης | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Equity cost of capital;OLS estimation;Pharmaceutical industry;Robust M estimation;Stock beta | Ημερομηνία Έκδοσης: | 1-Μαΐ-2014 | Πηγή: | Journal of International Financial Markets, Institutions and Money, 2014, vol. 30, no. 1, pp. 153-171 | Volume: | 30 | Issue: | 1 | Start page: | 153 | End page: | 171 | Περιοδικό: | Journal of International Financial Markets, Institutions and Money | Περίληψη: | Efficient estimation of the equity cost of operating public corporations is essential for a rational investment policy. Traditional OLS beta estimates of a single stock are known to suffer from violations of normality due to outliers - extreme returns caused by large, unpredictable company-specific events. We confirm the presence of an outliers-driven, often significant bias in OLS beta estimates by undertaking parallel estimates with a related method based on a mixed-return model that follows Huber's Robust M (HRM) estimator. We demonstrate that the OLS bias can be substantial even in a sample spanning 18 years of monthly observations. | URI: | https://hdl.handle.net/20.500.14279/9608 | ISSN: | 10424431 | DOI: | 10.1016/j.intfin.2014.02.002 | Rights: | © Elsevier | Type: | Article | Affiliation: | Texas A and M University Cyprus University of Technology |
Publication Type: | Peer Reviewed |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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